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Type: Journal Articles Authors: Bonhomme, Stephane and Jean-Marc Robin
Published in: Review of Economic Studies
Volume, issue, pages: Vol. 77, Issue 2, pp. 491-533
Previous version: cemmap Working Papers [Details]
In this paper,we construct a nonparametric estimator of the distributions of latent factors in linear independent multi-factor models under the assumption that factor loadings are known. Our approach allows to estimate the distributions of up to L(L+1)/2 factors given L measurements. The estimator works through empirical characteristic functions. We show that it is consistent, and derive asymptotic convergence rates. Monte-Carlo simulations show good finite-sample performance, less so if distributions are highly skewed or leptokurtic. We finally apply the generalized deconvolution procedure to decompose individual log earnings from the PSID into permanent and transitory components.
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